Informs 2015

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INFORMS Philadelphia – 2015
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decide when they should trade more aggressively to take advantage of price
movements, and when they should trade more conservatively to protect against
adverse selection effects.
3 - Bettering Investment Performance using Market
Implied Information
Duan Li, Professor, The Chinese University of Hong Kong,
Dept of Systems Eng. & Eng. Manag., Shatin, Hong Kong - PRC,
Financial markets are heavily driven by people’s expectations of the future. Thus
portfolio decisions should take into consideration the market implied forward-
looking information, in addition to the backward-looking information from
historical data. This talk discusses a formal framework in identifying hidden
utilities of different representative investor groups by analyzing market implied
information using inverse optimization solution schemes.
4 - Optimal Spread Crossing in a Limit Order Book
Xuefeng Gao, Assistant Professor, The Chinese University of Hong
Kong, , Nan Chen, Xiang Ma
We study when a precommitted trader converts a limit order to a market order in
algorithmic executions of orders. We formulate the problem as an optimal
stopping problem. We present structural properties of the optimal strategy and
show how it depends on market conditions. We also study the optimal spread
crossing problem under a Bayesian learning model for the fundamental value of
an asset. Our numerical experiments illustrate how the price-learning affects the
optimal spread crossing time.
MA07
07-Room 307, Marriott
Systemic Risk Measurement: Data and Algorithmic
Aspects
Cluster: Risk Management
Invited Session
Chair: Andreea Minca, Cornell University, Ithaca, NY,
United States of America,
1 - Systemic Impact in Fund Networks – Part I
Somya Singhvi, Cornell University, Ithaca, NY, United States of
America, , Divya Singhvi, Andreea Minca
We analyze portfolios of equity funds to understand their impact on other
portfolios. Further, we develop an algorithm that calculates the systemic impact of
a fund on a network of funds. The algorithm captures the premature liquidation
in response to investor outflows for different funds. Finally, we also show that our
algorithm converges.
2 - Systemic Impact in Fund Networks Part II
Divya Singhvi, Cornell University, 516 University Ave, Apt. B8,
Ithaca, NY, 14850, United States of America,
Andreea Minca, Somya Singhvi
Using the holdings data for US equity funds, we implement the systemic risk
measure algorithm. We analyze the second order impact of a fund on the other
funds. Our analysis suggest that the network structure leads to a significant
additional impact on other funds. Further, we show that the funds begin to
cluster themselves into groups of high and low impact based on there network
properties.
3 - Inhomogeneous Financial Networks and Contagious Links
Andreea Minca, Cornell University, Ithaca, NY,
United States of America,
We propose a framework for testing the possibility of large cascades in financial
networks. This framework accommodates a variety of specifications for the
probabilities of emergence of `contagious links’, where a contagious link leads to
the default of a bank following the default of its counterparty. We give bounds on
the size of the first order contagion and testable conditions for it to be small.
MA08
08-Room 308, Marriott
Topics in Innovative and Entrepreneurial Operations
Cluster: Business Model Innovation
Invited Session
Chair: Onesun Steve Yoo, University College London, Gower Street,
London, WC1E 6BT, United Kingdom,
1 - The Time-money Trade-off for Entrepreneurs:
When to Hire the First Employee?
Onesun Steve Yoo, University College London, Gower Street,
London, WC1E 6BT, United Kingdom, ,
Charles Corbett, Guillaume Roels
Hiring the first employee is a major step in a firm’s life cycle, marking the
transition from an entrepreneur-dominated firm to a phase of rapid growth. It is
also a significant operational problem because how an entrepreneur operates with
an employee is fundamentally different than without. We present hiring as a time
money tradeoff for entrepreneurs and examine when the entrepreneur should
make the hiring decision depending on whether time or money is the chief
bottleneck constraint.
2 - Collective Choice in Dynamic Public Good Provision:
Real Versus Formal Authority
George Georgiadis, Assistant Professor, Northwestern University,
2001 Sheridan Rd, Evanston, IL, 60208, United States of America,
, Renee Bowen,
Nicolas Lambert
We study a game in which two heterogeneous agents exert effort over time to
bring a project to completion, and the project scope can be determined at any
point via collective choice. A larger project scope requires greater cumulative
effort and delivers higher benefits on completion. We show that the efficient
agent prefers a smaller project scope than the inefficient agent, but their
preferences are time-inconsistent. We study the optimal allocation of property
rights to minimize disagreement.
3 - Third Party Legal Funding under Asymmetric Information
Noam Shamir, Assistant Professor, Tel-Aviv University, Haim
Levanon, Tel-Aviv, Israel, , Julia Shamir
Third party legal funding describes the phenomenon in which a company that has
no direct stake in a legal claim, covers the legal costs of this claim in exchange for
future share of the monetary outcome of the claim. We study the implications of
this phenomenon in terms of its effect on the litigation strategy and court
congestion.
4 - Entrepreneurship Company Formation from University
Technology Commercialization
Vish Krishnan, UCSD, La Jolla, CA, 92037, United States of
America, Kanetaka Maki
We study how the commercialization of university technologies leads to company
formation and collaboration with industrial partners. Specifically, using a
mathematical model and empirical testing, we detail the way in which the
technology transfer offices both moderate and mediate collaboration.
MA09
09-Room 309, Marriott
Understanding Knowledge Sources and Politics in
Technology Management
Sponsor: Technology, Innovation Management & Entrepreneurship
Sponsored Session
Chair: Zhijian Cui, Assistant Professor of Operations and Technology
Management, IE Business School, Calle de Maria de Molina 12, Madrid,
28006, Spain,
1 - The Differential Effect of Knowledge Sources on Innovation
Strategy: A Contingency Approach
Beatriz Rodriguez-Prado, University of Valladolid, Avda.
Valle del Esgueva, Valladolid, 47011, Spain,
Elena Revilla, Zhijian Cui
We examine how innovation strategy determines the sources of knowledge (own-
generated, bought-in and co-developed) and their impact on innovation
performance. Data of 9054 firms belonging to fourteen European Countries
constitute the empirical base of the study. Results derived from Cluster analysis,
ANOVAs and Generalized Linear Models strongly indicate investments in
innovation activities may generate differential value depending on key contextual
factors.
2 - The Effects of Outsourcing Knowledge on the Dynamics of
Outsourcing Modes
Qiong Chen, University of Science and Technology of China,
School of Management, USTC, 96 Jin Zhai Road, Bao He District,
Hefei, 230026, China, , Shouqiang Wang,
Gulru Ozkan-Seely, Aleda Roth
We evaluate buyer’s dynamic choice of outsourcing channels: directly through in-
house procurement department or indirectly through an intermediary. Using a
two-period game theoretic model, we demonstrate the critical yet interesting role
of outsourcing knowledge and highlight effects of direct and indirect learning on
the change of buyer’s strategies over time.
MA09